f[j] for j in range(i) if intervals[j][1] <= intervals[i][0]

列表推导式

列表推导式=一个表达式+for语句 +0个或多个if/while/for语句
在这里插入图片描述

[ x for x in range(1,8) if x%2 == 0 ] 

#[2, 4, 6]

表示满足条件的x,才放入列表中

Here are the detail information provided in PPTs:The option is an exotic partial barrier option written on an FX rate. The current value of underlying FX rate S0 = 1.5 (i.e. 1.5 units of domestic buys 1 unit of foreign). It matures in one year, i.e. T = 1. The option knocks out, if the FX rate:1 is greater than an upper level U in the period between between 1 month’s time and 6 month’s time; or,2 is less than a lower level L in the period between 8th month and 11th month; or,3 lies outside the interval [1.3, 1.8] in the final month up to the end of year.If it has not been knocked out at the end of year, the owner has the option to buy 1 unit of foreign for X units of domestic, say X = 1.4, then, the payoff is max{0, ST − X }.We assume that, FX rate follows a geometric Brownian motion dSt = μSt dt + σSt dWt , (20) where under risk-neutrality μ = r − rf = 0.03 and σ = 0.12.To simulate path, we divide the time period [0, T ] into N small intervals of length ∆t = T /N, and discretize the SDE above by Euler approximation St +∆t − St = μSt ∆t + σSt √∆tZt , Zt ∼ N (0, 1). (21) The algorithm for pricing this barrier option by Monte Carlo simulation is as described as follows:1 Initialize S0;2 Take Si∆t as known, calculate S(i+1)∆t using equation the discretized SDE as above;3 If Si+1 hits any barrier, then set payoff to be 0 and stop iteration, otherwise, set payoff at time T to max{0, ST − X };4 Repeat the above steps for M times and get M payoffs;5 Calculate the average of M payoffs and discount at rate μ;6 Calculate the standard deviation of M payoffs.
06-02
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